CVM Resolution No. 121 of June 3, 2022 — CVM — BR

SECURITIES AND EXCHANGE COMMISSION OF BRAZIL - CVM Rua Sete de Setembro, 111/2-5th and 23-34th Floors, Center, Rio de Janeiro/RJ – ZIP: 20050-901 – Brazil - Tel.: (21) 3554-8686 Rua Cincinato Braga, 340/2nd, 3rd and 4th Floors, Bela Vista, São Paulo/ SP – ZIP: 01333-010 – Brazil - Tel.: (11) 2146-2000 SCN Q.02 – Bl. A – Ed. Corporate Financial Center, S.404/4th Floor, Brasília/DF – ZIP: 70712-900 – Brazil - Tel.: (61) 3327-2030/2031 www.gov.br/cvm

CVM RESOLUTION NO. 121, OF JUNE 3, 2022
Approves the Consolidation of Technical Pronouncement CPC 40 (R1) of the Accounting Pronouncements Committee – CPC, which deals with Financial Instruments:
Disclosure.

The PRESIDENT OF THE SECURITIES AND EXCHANGE COMMISSION OF BRAZIL - CVM makes public that the Collegiate Board, in a meeting held on May 4, 2022, based on §§ 3 and 5 of art. 177 of Law No. 6.404, of December 15, 1976, combined with items II and IV of § 1 of art. 22 of Law No. 6.385, of December 7, 1976, as well as arts. 5 and 14 of Decree No. 10.139, of November 28, 2019,

APPROVED the following Resolution:

Art. 1. It makes mandatory for publicly-held companies the Technical Pronouncement CPC 40 (R1), which deals with Financial Instruments: Disclosure, issued by the Accounting Pronouncements Committee - CPC, as consolidated in Annex “A” to this Resolution.

Art. 2. The following are revoked, from the effective date of this Resolution:
I – Deliberation 604, of November 19, 2009; and II – Deliberation 684, of August 30, 2012.

Art. 3. This Resolution enters into force on July 1, 2022.

Signed electronically by
Marcelo Barbosa
President

CVM RESOLUTION NO. 121, OF JUNE 3, 2022
ANNEX “A”
ACCOUNTING PRONOUNCEMENTS COMMITTEE
TECHNICAL PRONOUNCEMENT CPC 40 (R1)
FINANCIAL INSTRUMENTS: DISCLOSURE
Correlation to International Financial Reporting Standards – IFRS 7 (IASB – BV 2012)

Summary Item
INTRODUCTION IN1 – IN5
OBJECTIVE 1 – 2
SCOPE 3 – 5
CLASSES OF FINANCIAL INSTRUMENTS AND LEVELS OF DISCLOSURE 6 SIGNIFICANCE OF FINANCIAL INSTRUMENTS TO THE FINANCIAL POSITION AND FINANCIAL PERFORMANCE AND FOR THE ANALYSIS OF PERFORMANCE 7 – 30 Balance sheet 8 – 19 Categories of financial assets and financial liabilities 8 Financial assets or financial liabilities at fair value through profit or loss 9 – 11 Reclassification 12 – 13 Collateral 14 – 15 Provision for credit loss 16 Composite financial instruments with multiple embedded derivatives 17 Default on contractual obligation 18 – 19 Statements of profit or loss and other comprehensive income 20 Items of income, expense, gain or loss 20 Other disclosures 21 – 30 Accounting policies 21 Hedge accounting 22 – 24 Fair value 25 – 30

CVM RESOLUTION NO. 121, OF JUNE 3, 2022
NATURE AND EXTENT OF RISKS ARISING FROM
FINANCIAL INSTRUMENTS 31 – 42
Qualitative disclosure 33
Quantitative disclosure 34 – 42
Credit risk 36 – 38
Financial assets past due or impaired 37
Collateral and other credit enhancements obtained 38 Liquidity risk 39 Market risk 40 – 42 Sensitivity analysis 40 – 41 Other market risk disclosures 42 TRANSFER OF FINANCIAL ASSETS 42A – 42C Transferred financial assets that are not derecognised in their entirety 42D Transferred financial assets that are derecognised in their entirety 42E – 42G Supplementary information 42H Revocation of another pronouncement 43
APPENDIX A – DEFINITION OF TERMS
APPENDIX B – APPLICATION GUIDE
Introduction
Reasons for issuing Technical Pronouncement CPC 40 (R1) IN1. In recent years, the techniques used by entities to measure and manage exposure to risks arising from financial instruments have evolved and new concepts and approaches to risk management have gained acceptance. In addition, many initiatives from the public and private sectors have proposed improvements to the disclosure conceptual framework for risks arising from financial instruments. IN2. The Accounting Pronouncements Committee (CPC) believes that users of financial statements need information about an entity's exposure to risks and how these risks are managed. This information can influence the user's assessment of the entity's financial position and financial performance or the timing, amount and uncertainty of its future cash flows.

CVM RESOLUTION NO. 121, OF JUNE 3, 2022
Greater transparency regarding these risks allows users to make more informed judgments about risk and return.
IN3. Consequently, the CPC concluded that there was a need to improve the disclosures previously required.
Main features of CPC 40 (R1)
IN4. CPC 40 applies to all risks arising from all financial instruments, except those instruments listed in item 3 (scope). CPC 40 applies to all entities, including entities that have few financial instruments (for example, a manufacturer whose only financial instruments are accounts receivable and accounts payable) and those that have many financial instruments (for example, a financial institution whose majority of these assets and liabilities consist of financial instruments). However, the extent of disclosure required depends on the extent of the entity's use of financial instruments and its exposure to risks. IN5. CPC 40 requires disclosure on:
(a) relevance of financial instruments to the entity's financial position and financial performance.
(b) qualitative and quantitative information about exposure to risks arising from financial instruments, including specific minimum disclosures on credit risk, liquidity risk and market risk. Qualitative disclosures describe the objectives, policies and processes of management for managing these risks. Quantitative disclosures provide information about the extent to which the entity is exposed to risks, based on information provided internally to key management personnel of the entity. Together, these disclosures provide an overview of the entity's use of financial instruments and the risk exposures they create. IN5B. Disclosure – Transfer of Financial Assets, items 42A to 42H and B29 to B39 (Changes to Technical Pronouncement CPC 40), approved in 2012, changed the disclosures required to help users of financial statements assess the risk exposures related to transfers of financial assets and the effect of these risks on the entity's financial position. Objective

The objective of this Pronouncement is to require the entity to disclose in its financial statements that which allows users to assess:
(a) the significance of the financial instrument to the entity's financial position and financial performance; and (b) the nature and extent of risks resulting from financial instruments to which the entity is exposed during the period and at the end of the accounting period, and how the entity manages these risks.

CVM RESOLUTION NO. 121, OF JUNE 3, 2022
2. The principles in this pronouncement complement the principles for recognition, measurement and presentation of financial assets and financial liabilities of CPC 48 – Financial Instruments and CPC 39 – Financial Instruments: Presentation.
Scope
3. This pronouncement shall be applied by all entities to all financial instruments, except:
(a) interests in subsidiaries, associates and joint ventures that must be accounted for in accordance with CPC 35 – Separate Financial Statements, CPC 36 – Consolidated Financial Statements, CPC 18 – Investment in Associate, in Subsidiary and in Jointly Controlled Entity. However, in some cases, these pronouncements require or allow the entity to account for interests in subsidiary, associate or jointly controlled entity according to CPC 48; in these cases, the entity must apply the disclosure requirements of this pronouncement and, for those measured at fair value, the requirements of CPC 46 – Fair Value Measurement. Entities must also apply this pronouncement to all derivatives linked to interests in subsidiaries, associates or jointly controlled entities, unless the derivative meets the definition of an equity instrument of CPC 39; (b) rights and obligations of employers arising from employee benefit plans, to which Technical Pronouncement CPC 33 – Employee Benefits applies; (c) (eliminated); (d) insurance contracts, as defined in CPC 11 – Insurance Contracts. However, this pronouncement applies to derivatives that are embedded in insurance contracts, if CPC 48 requires the entity to account for them separately. In addition, the issuer must apply this pronouncement to financial guarantee contracts, if the issuer applies CPC 48 in recognition and measurement of the contracts, but must, if the issuer opts, according to item 4(d) of CPC 11, apply CPC 11 in its recognition and measurement; (e) financial instruments, contracts and obligations arising from share-based payment transactions to which CPC 10 – Share-based Payment applies, except that this pronouncement must be applied to contracts within the scope of CPC 48; (f) instruments that are necessarily classified as equity instruments according to items 16A and 16B or items 16C and 16D of CPC 39 – Financial Instruments: Presentation.
4. This pronouncement must be applied to recognized and unrecognized financial instruments. Recognized financial instruments include financial assets and financial liabilities that are within the scope of CPC 48. Unrecognized financial instruments include some financial instruments that, although outside the scope of CPC 48, are within the scope of this pronouncement.

CVM RESOLUTION NO. 121, OF JUNE 3, 2022
5. This pronouncement must be applied to contracts to purchase or sell a non-financial item that is within the scope of CPC 48.
5A. The credit risk disclosure requirements, described in items 35A to 35N, apply to rights that CPC 47 – Revenue from Contracts with Customers specifies must be accounted for in accordance with CPC 48 for the purposes of recognizing gains or losses on impairment. Any reference to financial assets or financial instruments in these items must include these rights, unless specified otherwise. Classes of financial instruments and levels of disclosure
6. When this Pronouncement requires disclosure by class of financial instrument, the entity must group financial instruments into appropriate classes according to the nature of the information disclosed and taking into account the characteristics of these financial instruments. The entity must provide sufficient information to allow reconciliation with the items presented in the balance sheet.
Significance of financial instruments to the financial position and financial performance and to the analysis of performance
7. The entity must disclose information that allows users of financial statements to assess the significance of financial instruments to its financial position and financial performance and to performance analysis.
Balance sheet
Categories of financial assets and financial liabilities
8. The carrying amount of each of the following categories, as specified in CPC 48, must be disclosed in the balance sheet or in the notes:
(a) financial assets at fair value through profit or loss, showing separately (i) those designated as such at initial recognition or subsequently in accordance with item 6.7.1 of CPC 48 and (ii) those mandatorily measured at fair value through profit or loss, according to CPC 48; (b) (eliminated); (c) (eliminated); (d) (eliminated); (e) financial liabilities at fair value through profit or loss, showing separately (i) those designated as such at initial recognition or subsequently in accordance with item 6.7.1 of CPC 48 and (ii) those that meet the definition of held for trading in CPC 48; (f) financial assets measured at amortized cost;

CVM RESOLUTION NO. 121, OF JUNE 3, 2022
(g) financial liabilities measured at amortized cost; (h) financial assets measured at fair value through other comprehensive income, presenting separately (i) financial assets measured at fair value through other comprehensive income, according to item 4.1.2A of CPC 48; and (ii) investments in equity instruments designated as such at initial recognition, according to item 5.7.5 of CPC 48. Financial assets or financial liabilities at fair value through profit or loss
9. If the entity has designated the financial asset (or group of financial assets) as measured at fair value through profit or loss, which would otherwise be measured at fair value through other comprehensive income or at amortized cost, it must disclose:
(a) the maximum exposure to credit risk (see item 36(a)) of the financial asset (or group of financial assets) at the end of the accounting period; (b) the amount by which any credit derivative or similar instrument eliminates the maximum exposure to credit risk (see item 36(b)); (c) the amount of the change, during the period and cumulatively, in the fair value of the financial asset (or group of financial assets) that is attributable to changes in the credit risk of the financial asset determined, both:
(i) as the amount of the variation in fair value that is not attributable to changes in market conditions that give rise to market risk; or (ii) using an alternative method that the entity believes is more reliable, the amount that represents the amount of the change in its fair value that is attributable to changes in the credit risk of the asset. Changes in market conditions that give rise to credit risk include changes in the observable (benchmark) interest rate, commodity price, exchange rate or price indices and rates. (d) the amount of the change in fair value of any credit derivative or similar instrument that has occurred during the period and cumulatively, since the financial asset has been designated.
10. If the entity has designated the financial liability at fair value through profit or loss, in accordance with item 4.2.2 of CPC 48, and is required to present the effects of changes in the credit risk of this liability in other comprehensive income (see item 5.7.7 of CPC 48), it must disclose:
(a) the value of the variation, cumulatively, in the fair value of the financial liability that is attributable to changes in the credit risk of this liability (see items B5.7.13 to B5.7.20 of CPC 48 for guidance on determining the effects of changes in the credit risk of the liability); (b) the difference between the carrying amount of the financial liability and the amount the entity would be required to pay at maturity to the holder of the obligation;

CVM RESOLUTION NO. 121, OF JUNE 3, 2022
(c) any transfers of the accumulated gain or loss within equity during the period, including the reasons for these transfers; (d) if the liability is derecognized during the period, the amount (if any) presented in other comprehensive income that was realized on derecognition. 10A. If the entity has designated the financial liability as at fair value through profit or loss, in accordance with item 4.2.2 of CPC 48, and is required to present all changes in the fair value of this liability (including the effects of changes in the credit risk of the liability) in profit or loss (see items 5.7.7 and 5.7.8 of CPC 48), it must disclose:
(a) the value of the change, during the period and cumulatively, in the fair value of the financial liability that is attributable to changes in the credit risk of this liability (see items B5.7.13 to B5.7.20 of CPC 48 for guidance on determining the effects of changes in the credit risk of the liability); and (b) the difference between the carrying amount of the financial liability and the amount the entity would be contractually obliged to pay at maturity to the holder of the obligation.
11. The entity must disclose:
(a) the detailed description of the methods used to comply with the requirements of items 9(c), 10(a), 10A(a) and 5.7.7(a) of CPC 48, including the explanation of why the method is appropriate; (b) if the entity believes that the disclosure presented, either in the balance sheet or in the notes, to comply with the requirements of items 9(c), 10(a), 10A(a) or 5.7.7(a) of CPC 48 does not reliably represent the change in the fair value of the financial asset or financial liability attributable to variations in its credit risk, the reason for reaching this conclusion and the factors considered as relevant; (c) the detailed description of the methodology or methodologies used to determine if the presentation of the effects of changes in the credit risk of the liability in other comprehensive income would create or increase an accounting mismatch in profit or loss (see items 5.7.7 and 5.7.8 of CPC 48). If the entity is required to present the effects of changes in the credit risk of the liability in profit or loss (see item 5.7.8 of CPC 48), the disclosure must include the detailed description of the economic relationship described in item B5.7.6 of CPC 48. Investment in equity instrument designated at fair value through other comprehensive income 11A. If the entity has designated investments in equity instruments to be measured at fair value through other comprehensive income, as permitted by item 5.7.5 of CPC 48, it must disclose:
(a) that investments in equity instruments have been designated to be measured at fair value through other comprehensive income; (b) the reasons for using this presentation alternative;

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

COMMISSION OF SECURITIES AND EXCHANGES (CVM)
7 de Setembro Street, 111/2-5th and 23-34th Floors, Center, Rio de Janeiro/RJ – ZIP: 20050-901 – Brazil - Tel.: (21) 3554-8686 Cincinato Braga Street, 340/2nd, 3rd and 4th Floors, Bela Vista, São Paulo/ SP – ZIP: 01333-010 – Brazil - Tel.: (11) 2146-2000 SCN Q.02 – Bl. A – Corporate Financial Center Building, S.404/4th Floor, Brasília/DF – ZIP: 70712-900 – Brazil - Tel.: (61) 3327-2030/2031 www.gov.br/cvm

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

(c) the fair value of each of these investments at the end of the reporting period; (d) the dividends recognized during the period, presenting separately those related to investments derecognized during the reporting period and those related to investments held at the end of the reporting period; (e) any transfers of accumulated gain or loss within equity during the period, including the reasons for these transfers.

11B. If the entity has derecognized investments in equity instruments measured at fair value through other comprehensive income during the reporting period, it shall disclose:
(a) the reasons for the disposal of the investments; (b) the fair value of the investments at the date of derecognition; (c) the accumulated gain or loss on disposal.

Reclassification

12-12A. (Eliminated).

12B. The entity shall disclose whether, in current or prior reporting periods, it has reclassified any financial assets in accordance with item 4.4.1 of CPC 48. For each of these events, the entity shall disclose:
(a) the date of reclassification;
(b) a detailed explanation of the change in business model and a qualitative description of its effect on the entity’s financial statements; (c) the amount reclassified within and outside each category.

12C. For each reporting period after reclassification until derecognition, the entity shall disclose, for assets reclassified from the fair value through profit or loss category so that they are measured at amortized cost or at fair value through other comprehensive income in accordance with item 4.4.1 of CPC 48:
(a) the effective interest rate determined at the date of reclassification; and (b) the interest revenue recognized.

12D. If, since its last annual reporting date, the entity has reclassified financial assets out of the fair value through other comprehensive income category so that they are measured at amortized cost or out of the fair value through profit or loss category so that they are measured at amortized cost or at fair value through other comprehensive income, it shall disclose:
(a) the fair value of the financial assets at the end of the reporting period; and

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

(b) the gain or loss in fair value that would have been recognized in profit or loss or in other comprehensive income during the reporting period if the financial assets had not been reclassified.

(Eliminated).

Offsetting financial assets and financial liabilities

13A. The disclosures in items 13B to 13E complement the other disclosure requirements of this pronouncement and are required for all recognized financial instruments that are offset in accordance with item 42 of CPC 39. These disclosures also apply to recognized financial instruments that are subject to a master netting arrangement or similar agreement, regardless of whether they are offset in accordance with item 42 of CPC 39.

13B. The entity shall disclose information to enable users of its financial statements to assess the effect or potential effect of netting arrangements on the entity’s financial position. This includes the effect or potential effect of associated right of set-off related to recognized financial assets and recognized financial liabilities of the entity, which are within the scope of item 13A.

13C. To achieve the objective of item 13B, the entity shall disclose, at the end of the reporting period, the following quantitative information separately for recognized financial assets and recognized financial liabilities, which are within the scope of item 13A:
(a) the gross amounts of these recognized financial assets and recognized financial liabilities; (b) the amounts that are offset in accordance with the criteria described in item 42 of CPC 39 in determining the net amounts presented in the balance sheet; (c) the net amounts presented in the balance sheet; (d) the amounts subject to a master netting arrangement or similar agreement that are not otherwise included in item 13C(b), including:
(i) amounts related to recognized financial instruments, which do not meet some or all of the offsetting criteria described in item 42 of CPC 39; and (ii) amounts related to financial collateral (including cash collateral); and (e) the net amount after deducting the amounts from item (d) from the amounts from item (c) above. The information required by this item shall be presented in tabular format, separately for financial assets and financial liabilities, unless another format is more appropriate.

13D. The total amount disclosed, in accordance with item 13C(d) for an instrument, is limited to the amount of item 13C(c) for that instrument.

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

13E. The entity shall include a description in the disclosures of the rights of set-off associated with the entity’s recognized financial assets and recognized financial liabilities, subject to enforceable master netting arrangements and similar agreements that are disclosed in accordance with item 13C(d), including the nature of these rights.

13F. If the information required by items 13B to 13E is disclosed in more than one note to the financial statements, the entity shall cross-reference these notes.

Collateral

The entity shall disclose:
(a) the carrying amount of the financial asset that is used as collateral for liabilities or contingent liabilities, including amounts that have been reclassified in accordance with item 3.2.23(a) of CPC 48; and (b) the terms and conditions relating to the collateral.
When the entity holds collateral (of financial or non-financial assets) and is authorized to sell or repledge the collateral in the absence of default by the holder of the collateral, the entity shall disclose:
(a) the fair value of the collateral held;
(b) the fair value of any collateral sold or repledged, and whether the entity has an obligation to return it; and (c) the terms and conditions associated with the use of the collateral.

Provision for credit loss

(Eliminated).

16A. The carrying amount of financial assets measured at fair value through other comprehensive income, in accordance with item 4.1.2A of CPC 48, shall not be reduced by the provision for losses and the entity shall not present the provision for losses separately in the balance sheet as a reduction of the carrying amount of the financial asset. However, the entity shall disclose the provision for losses in the notes to the financial statements.

Financial instruments with multiple embedded derivatives

If the entity has issued an instrument that contains both an equity component and a liability (see item 28 of Technical Pronouncement CPC 39 – Financial Instruments: Presentation) and the instrument has multiple embedded derivatives whose values are interdependent (such as a convertible debt instrument), it shall disclose the existence of these situations.

Breach of contractual commitment

For loans payable existing at the date of the financial statements, the entity shall disclose:
(a) details of any contractual breach during the period of principal, interest, amortization or redemptions; (b) the carrying amount of the overdue debt at the date of the financial statements; and (c) in the case of renegotiation of contractual terms before the financial statements are authorized for issue, the terms of that renegotiation.
If, during the period, there have been breaches or violations of contractual agreements other than those described in item 18, the entity shall disclose the same information required in item 18 if the breaches or violations allow the creditor to demand early payment (unless the breaches or violations have been remedied, or the terms of the loan have been renegotiated, by the date or before the date of the financial statements).

Statements of profit or loss and other comprehensive income

Items of revenue, expense, gain and loss

The entity shall disclose the following items of revenue, expense, gain and loss, whether in the statement of comprehensive income, the statement of profit or loss or in the notes to the financial statements:
(a) net gains or net losses in:
(i) financial assets or financial liabilities at fair value through profit or loss, showing separately those financial assets or financial liabilities designated as such at initial recognition, or subsequently in accordance with item 6.7.1 of CPC 48, and those financial assets or financial liabilities that are, necessarily, measured at fair value through profit or loss in accordance with CPC 48 (for example, financial liabilities that meet the definition of held for trading in CPC 48). For financial liabilities designated as at fair value through profit or loss, the entity shall present, separately, the amount of gain or loss recognized in other comprehensive income and the amount recognized in profit or loss; (ii) (eliminated); (iii) (eliminated); (iv) (eliminated); (v) financial liabilities measured at amortized cost; (vi) financial assets measured at amortized cost; (vii) investments in equity instruments designated as at fair value through other comprehensive income, in accordance with item 5.7.5 of CPC 48; (viii) financial assets measured at fair value through other comprehensive income in accordance with item 4.1.2A of CPC 48, presenting separately the amount of gain or loss recognized in other comprehensive income during the period and the amount reclassified, upon derecognition, from accumulated other comprehensive income to the profit or loss of the period; (b) total interest revenue and expense (calculated using the effective interest method) for financial assets that are measured at amortized cost or at fair value through other comprehensive income, in accordance with item 4.1.2A of CPC 48 (presenting these values separately); or financial liabilities that are not measured at fair value through profit or loss; (c) other revenues and expenses, which are not included in the determination of the effective interest rate, arising from:
(i) financial assets or financial liabilities that are not measured at fair value through profit or loss; and (ii) trusts and fiduciary activities that result in the holding or investing of assets on behalf of individuals, trusts, pension funds and other institutions; (d) (eliminated); (e) (eliminated).

20A. The entity shall disclose the analysis of the gain or loss recognized in the statement of comprehensive income arising from the derecognition of financial assets measured at amortized cost, presenting separately gains and losses arising from the derecognition of these financial assets. This disclosure shall include the reasons for the derecognition of these financial assets.

Other disclosures

Accounting policies

In accordance with item 117 of Technical Pronouncement CPC 26 – Presentation of Financial Statements, the entity shall disclose, in the note on accounting policies, the measurement bases used in the preparation of the financial statements and the other accounting policies used that are relevant to the understanding of these financial statements.

Hedge accounting

21A. The entity shall apply the disclosure requirements of items 21B to 24F for risk exposures that the entity hedges and for which it chooses to apply hedge accounting. Hedge accounting disclosures shall provide information about:
(a) the entity’s risk management strategy and how it is applied to manage risk; (b) how the entity’s hedging activities may affect the amount, timing and uncertainty of its future cash flows; and (c) the effect that hedge accounting has had on the balance sheet, the statement of comprehensive income and the statement of changes in equity of the entity.

21B. The entity shall present the disclosures required in a single note to the financial statements or in a separate section in its financial statements. However, the entity does not need to duplicate information that is already presented elsewhere, provided that the information is incorporated by cross-referencing the financial statements with some other statement, such as, for example, management commentary or risk report, which is available to users of the financial statements on the same terms as the financial statements and at the same time. Without the information incorporated by cross-reference, the financial statements are incomplete.

21C. When items 22A to 24F require the entity to separate disclosed information by risk category, the entity shall determine each risk category based on the risk exposures that the entity decides to hedge and for which hedge accounting is applied. The entity shall determine risk categories consistently for all hedge accounting disclosures.

21D. To meet the objectives of item 21A, the entity (unless otherwise specified) shall determine how much detail to disclose, how much emphasis to place on different aspects of the disclosure requirements, the appropriate level of aggregation or disaggregation and whether users of the financial statements need additional explanations to assess the quantitative information disclosed. However, the entity shall use the same level of aggregation or disaggregation that it uses for disclosure requirements of the respective information in this pronouncement and in CPC 46 – Fair Value Measurement.

(Eliminated).

Risk management strategy

22A. The entity shall explain its risk management strategy for each risk category of risk exposure that it decides to hedge and for which hedge accounting is applied. This explanation shall enable users of the financial statements to assess (for example):
(a) how each risk arises;
(b) how the entity manages each risk; this includes whether the entity hedges the item in its entirety for all risks or hedges a component (or components) of the item’s risk and why; (c) the extent of risk exposures that the entity manages.

22B. To meet the requirements of item 22A, the information shall include (among others) the description of:
(a) hedging instruments used (and how they are used) to protect risk exposures; (b) how the entity determines the economic relationship between the hedged item and the hedging instrument for the purposes of assessing hedge effectiveness; and (c) how the entity establishes the hedge ratio and what the sources of hedge ineffectiveness are.

22C. When the entity designates a specific risk component as the hedged item (see item 6.3.7 of CPC 48), it shall provide, in addition to the disclosures required by items 22A and 22B, qualitative or quantitative information about:
(a) how the entity determined the risk component that is designated as the hedged item (including a description of the nature of the relationship between the risk component and the item as a whole); and (b) how the risk component relates to the item in its entirety (for example, the designated risk component historically covered on average 80% of the changes in the fair value of the item as a whole).

(Eliminated).

Amount, timing and uncertainty of future cash flows

23A. Unless subject to the exemption of item 23C, the entity shall disclose quantitative information by risk category, to enable users of its financial statements to assess the terms and conditions of hedging instruments and how they affect the amount, timing and uncertainty of the entity’s future cash flows.

23B. To meet the requirements of item 23A, the entity shall provide a composition that discloses:
(a) the timing profile of the nominal value of the hedging instrument; and (b) if applicable, the average price or rate (for example, exercise prices or forward prices, etc.) of the hedging instrument.

23C. In situations where the entity frequently reestablishes (i.e., discontinues and restarts) hedge relationships because both the hedging instrument and the hedged item frequently change (i.e., the entity uses a dynamic process in which both the exposure and the hedging instruments used to manage that exposure do not remain the same for long – as, for example, in item B6.5.24(b) of CPC 48), the entity:
(a) is exempt from providing the disclosures required by items 23A and 23B; (b) shall disclose:
(i) information about what the risk management strategy is with respect to these hedge relationships;

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

(ii) the description of how it reflects its risk management strategy, using hedge accounting and designating these specific hedge relationships; and (iii) the indication of the frequency with which hedge relationships are discontinued and restarted as part of the entity’s process with respect to these hedge relationships.

23D. The entity shall disclose, by risk category, the description of the sources of hedge ineffectiveness that are expected to affect the hedge relationship during the period of the relationship.

23E. If other sources of hedge ineffectiveness arise in the hedge relationship, the entity shall disclose these sources by risk category and explain the resulting hedge ineffectiveness.

23F. For cash flow hedges, the entity shall disclose the description of any forecast transaction for which hedge accounting had previously been used, but which is no longer expected to occur.

(Eliminated).

Effects of hedge accounting on financial position and performance

24A. The entity shall disclose, in tabular form, the following values relating to items designated as hedging instruments separately by risk category for each type of hedge (fair value hedge, cash flow hedge or hedge of a net investment in a foreign operation):
(a) the carrying amount of the hedging instruments (financial assets separately from financial liabilities); (b) the line item in the balance sheet that includes the hedging instrument; (c) the change in fair value of the hedging instrument used as the basis for recognizing hedge ineffectiveness of the period; and (d) the nominal amounts (including quantities, such as, for example, tons or cubic meters) of the hedging instruments.

24B. The entity shall disclose, in tabular form, the following values relating to hedged items separately by risk category for the types of hedges:
(a) for fair value hedges:
(i) the carrying amount of the hedged item, recognized in the balance sheet (presenting assets separately from liabilities); (ii) the accumulated amount of fair value hedge adjustments on the hedged item, included in the carrying amount of the hedged item, recognized in the balance sheet (presenting assets separately from liabilities); (iii) the line item, in the balance sheet, that includes the hedged item;

COMISSÃO DE VALORES MOBILIÁRIOS
Rua Sete de Setembro, 111/2-5º e 23-34º Andares, Centro, Rio de Janeiro/RJ – CEP: 20050-901 – Brasil - Tel.: (21) 3554-8686 Rua Cincinato Braga, 340/2º, 3º e 4º Andares, Bela Vista, São Paulo/ SP – CEP: 01333-010 – Brasil - Tel.: (11) 2146-2000 SCN Q.02 – Bl. A – Ed. Corporate Financial Center, S.404/4º Andar, Brasília/DF – CEP: 70712-900 – Brasil -Tel.: (61) 3327-2030/2031 www.gov.br/cvm RESOLUÇÃO CVM Nº 121, DE 3 DE JUNHO DE 2022

(iv) the change in the value of the hedged item used as the basis for recognizing hedge ineffectiveness for the period; and (v) the accumulated amount of fair value hedge adjustments remaining in the balance sheet for any hedged items that ceased to be adjusted to protect hedge gains and losses, in accordance with item 6.5.10 of CPC 48; (b) for cash flow hedges and hedges of a net investment in a foreign operation:
(i) the changes in the value of the hedged item used as the basis for recognizing hedge ineffectiveness for the period (that is, for cash flow hedges, the change in the value used to determine hedge ineffectiveness, recognized in accordance with item 6.5.11(c) of CPC 48); (ii) the balances in the cash flow hedge reserve and the foreign currency translation reserve for ongoing hedges, which are accounted for in accordance with items 6.5.11 and 6.5.13(a) of CPC 48; and (iii) the remaining balances in the cash flow hedge reserve and the foreign currency translation reserve for any hedging relationships for which hedge accounting has ceased to be applied.

24C. The entity shall disclose, in tabular form, the following values separately by risk category for the types of hedges:
(a) for fair value hedges:
(i) hedge ineffectiveness – that is, the difference between the gains or losses of the hedging instrument and the hedged item – recognized in profit or loss (or in other comprehensive income for hedges of equity instruments for which the entity has chosen to present changes in fair value in other comprehensive income, in accordance with item 5.7.5 of CPC 48); and (ii) the line item in the statement of comprehensive income that includes the recognized hedge ineffectiveness; (b) for cash flow hedges and hedges of a net investment in a foreign operation:
(i) the gains or losses on hedges for the reporting period, which were recognized in other comprehensive income; (ii) the hedge ineffectiveness recognized in profit or loss; (iii) the line item in the statement of comprehensive income that includes the recognized hedge ineffectiveness; (iv) the amount reclassified from the cash flow hedge reserve or the foreign currency translation reserve to profit or loss as a reclassification adjustment (see CPC 26) (differentiating between values for which hedge accounting had previously been used, but for which the protected future cash flows are no longer expected to occur, and values that were transferred because the hedged item affected profit or loss);

(v) the line item in the statement of comprehensive income that includes the reclassification adjustment (see CPC 26); and (vi) for net position hedges, the gains or losses on hedges recognized in a separate line item in the statement of comprehensive income (see item 6.6.4 of CPC 48).

24D. When the volume of hedging relationships to which the exemption in item 23C applies does not represent normal volumes during the period (that is, the volume at the reporting date does not reflect the volumes during the period), the entity shall disclose this fact and the reason why it believes the volumes are not representative.

24E. The entity shall provide a reconciliation of each component of equity and an analysis of other comprehensive income in accordance with CPC 26, which, taken together:
(a) differentiate, at a minimum, between the values relating to the disclosures in item 24C(b)(i) and (b)(iv) and the values accounted for in accordance with item 6.5.11(d)(i) and (d)(iii) of CPC 48; (b) differentiate between the values associated with the time value of options that protect hedged items relating to transactions and the values associated with the time value of options that protect hedged items relating to a period of time, when the entity accounts for the time value of the option in accordance with item 6.5.15 of CPC 48; and (c) differentiate between the values associated with the forward elements of forward contracts and the foreign currency basis spreads of financial instruments, which protect hedged items relating to transactions, and the values associated with the forward elements of forward contracts and the foreign currency basis spreads of financial instruments, which protect hedged items relating to a period of time, when the entity must account for these values in accordance with item 6.5.16 of CPC 48.

24F. The entity shall disclose the information required in item 24E separately, by risk category. This risk disaggregation may be provided in the notes to the financial statements.

Option to designate credit exposure as measured at fair value through profit or loss

24G. If the entity has designated the financial instrument, or part of that instrument, as measured at fair value through profit or loss because it uses a credit derivative to manage the credit risk of that financial instrument, the entity shall disclose:
(a) for credit derivatives, which were used to manage the credit risk of financial instruments designated as measured at fair value through profit or loss, in accordance with item 6.7.1 of CPC 48, a reconciliation of each nominal amount and fair value at the beginning and end of the period; (b) the gain or loss recognized in profit or loss on the designation of the financial instrument, or part of that instrument, as measured at fair value through profit or loss, in accordance with item 6.7.1 of CPC 48; and

(c) upon discontinuing the measurement of the financial instrument, or part of that instrument, as at fair value through profit or loss, the fair value of that financial instrument that became the new carrying amount in accordance with item 6.7.4 of CPC 48 and its respective nominal or principal amount (except to provide comparative information in accordance with CPC 26, the entity is not required to continue this disclosure in subsequent periods).

Uncertainty arising from the interest rate benchmark reform

24H. For hedging relationships to which the entity applies the exceptions established in items 6.8.4 to 6.8.12 of CPC 48 or in items 102D to 102N of CPC 38, the entity shall disclose:
(a) the significant interest rate benchmarks to which the entity’s hedging relationships are exposed; (b) the extent of the exposure to risk that the entity manages that is directly affected by the interest rate benchmark reform; (c) how the entity is managing the transition process to alternative reference rates; (d) a description of significant assumptions or judgments that the entity made when applying these items (for example, assumptions or judgments about when the uncertainty arising from the interest rate benchmark reform is no longer present with respect to the timing and value of the interest rate-based cash flows); and (e) the nominal value of the hedging instruments in these hedging relationships.

Additional disclosures related to the interest rate benchmark reform

24I. To enable users of the financial statements to understand the effect of the interest rate benchmark reform on the entity’s financial instruments and risk management strategy, the entity shall disclose information about:
(a) the nature and extent of the risks to which the entity is exposed arising from financial instruments subject to the interest rate benchmark reform, and how the entity manages these risks; and (b) the entity’s progress in completing the transition to the alternative reference rate and how the entity is managing the transition.

24J. To meet the objectives of item 24I, the entity shall disclose:
(a) how the entity is managing the transition to the alternative reference rate, its progress at the reporting date, and the risks to which it is exposed arising from financial instruments because of the transition; (b) information not aggregated by significant interest rate benchmark subject to the interest rate benchmark reform, quantitative information about financial instruments that still

need to transition to an alternative reference rate at the end of the period of the financial statements, showing separately:
(i) non-derivative financial assets;
(ii) non-derivative financial liabilities; and (iii) derivatives; and (c) if the risks identified in item 24J(a) resulted in changes to the entity’s risk management strategy (see item 22A), a description of those changes.

Fair value

Except as established in item 29, for each class of financial asset and financial liability (see item 6), the entity shall disclose the fair value of that class of assets and liabilities in a manner that allows it to be compared with its carrying amount.
In disclosing fair values, the entity shall group financial assets and financial liabilities into classes, but shall offset them only to the extent that their carrying amounts are offset in the balance sheet.

27-27B. (Eliminated).

In some cases, the entity does not recognize the gain or loss on initial recognition of a financial asset or financial liability because the fair value is not evidenced by a quoted price in an active market for an identical asset or liability (that is, Level 1 information), nor is it based on a valuation technique that uses only observable market data (see item B5.1.2A of CPC 48). In these cases, the entity shall disclose, by class of financial asset or financial liability:
(a) its accounting policy for recognizing in profit or loss the difference between the fair value at initial recognition and the transaction price, to reflect the change in factors (including time) that market participants would take into account when pricing the asset or liability (see item B5.1.2A(b) of CPC 48); (b) the total difference yet to be recognized in profit or loss at the beginning and end of the period and the reconciliation of changes in the balance of that difference; (c) why the entity concluded that the transaction price was not the best evidence of fair value, including a description of the evidence supporting the fair value.
Fair value disclosures are not required:
(a) when the carrying amount is a reasonable approximation of fair value, for example, for financial instruments such as short-term trade receivables and payables to suppliers; (b) (eliminated); (c) for a contract that contains a discretionary participation feature (as described in CPC 11 – Insurance Contracts) if the fair value of that feature cannot be measured reliably; or (d) for lease liabilities.
In the cases described in item 29(c), the entity shall disclose information to help users of the financial statements make their own judgment about the extent of possible differences between the carrying amount of these contracts and their fair values, including:
(a) the fact that fair value information was not disclosed for these instruments because their fair values cannot be measured reliably; (b) a description of the financial instruments, the carrying amount, and the explanation of why the fair value cannot be measured reliably; (c) information about the market for the financial instruments; (d) information about whether and how the entity intends to dispose of the financial instruments; and (e) if the financial instrument whose fair value cannot be measured reliably is derecognized, that fact, its carrying amount at the time of derecognition, and the amount of gain or loss recognized.

Nature and extent of risks arising from financial instruments

The entity shall disclose information that enables users of its financial statements to assess the nature and extent of the risks arising from financial instruments to which the entity is exposed at the date of the financial statements.
The disclosures required in items 33 to 42 are focused on the risks arising from financial instruments and how they have been managed. These risks typically include, but are not limited to, credit risk, liquidity risk, and market risk.

32A. Making qualitative disclosures in the context of quantitative disclosures allows users to make an association with the related disclosures and thus form a broad understanding of the nature and extent of risks arising from financial instruments. The interaction between qualitative and quantitative disclosures contributes to the disclosure of information in a manner that better enables users to assess an entity’s exposure to risks.

Qualitative disclosure

For each type of risk arising from financial instruments, the entity shall disclose:
(a) the exposure to risk and how it arises;
(b) its objectives, policies, and processes for managing the risks and the methods used to measure the risk; and (c) any changes in (a) or (b) from the previous period.

Quantitative disclosure

For each type of risk arising from financial instruments, the entity shall disclose:
(a) a summary of quantitative data about its exposure to risks at the end of the reporting period. This disclosure shall be based on the information provided internally to the key management personnel of the entity (as defined in Technical Pronouncement CPC 05 – Related Party Disclosures), for example, the entity’s board of directors or its chief executive officer; (b) the disclosures required in items 36 to 42, to the extent not provided in (a); (c) concentrations of risk, if not evident from the disclosures made in accordance with (a) and (b).
If the quantitative data disclosed at the end of the reporting period are not representative of the entity’s exposure to risk during the period, the entity shall provide additional information that is representative.

Credit risk

Scope and objectives

35A. The entity shall apply the disclosure requirements of items 35F to 35N to financial instruments to which the impairment requirements of CPC 48 apply. However:
(a) for trade receivables, contractual assets, and lease receivables, item 35J(a) applies to these trade receivables, contractual assets, and lease receivables for which expected credit losses must be recognized in accordance with item 5.5.15 of CPC 48, if these financial assets are modified and are more than 30 days past due; and (b) item 35K(b) does not apply to lease receivables.

35B. The disclosure of credit risk, made in accordance with items 35F to 35N, enables users of the financial statements to understand the effect of credit risk on the amount, timing, and uncertainty of future cash flows. To achieve this objective, the disclosure of credit risk shall provide:
(a) information about the entity’s credit risk management practices and how they relate to the recognition and measurement of expected credit losses, including methods, assumptions, and information used to measure expected credit losses; (b) qualitative and quantitative information that enables users of the financial statements to assess the values in the financial statements resulting from expected credit losses, including changes in the value of expected credit losses and the reasons for those changes; and

(c) information about the entity’s exposure to credit risk (that is, the credit risk inherent in the entity’s financial assets and commitments to extend credit), including significant credit risk concentrations.

35C. The entity is not required to duplicate information that is already presented elsewhere, provided that the information is incorporated by cross-reference from the financial statements to other reports, such as management commentary or a risk report, that is available to users of the financial statements on the same terms as the financial statements and at the same time. Without the information incorporated by cross-reference, the financial statements are incomplete.

35D. To meet the objectives of item 35B, the entity (unless specified otherwise) shall consider how much detail to disclose, how much emphasis to place on different aspects of the disclosure requirements, the appropriate level of aggregation or disaggregation, and whether users of the financial statements need additional explanations to assess the quantitative information disclosed.

35E. If the disclosures made in accordance with items 35F to 35N are insufficient to achieve the objectives of item 35B, the entity shall disclose additional information necessary to achieve those objectives.

Credit risk management practices

35F. The entity shall explain its credit risk management practices and how they relate to the recognition and measurement of expected credit losses. To achieve this objective, the entity shall disclose information that enables users of the financial statements to understand and assess:
(a) how the entity determined whether the credit risk of financial instruments has increased significantly since initial recognition, including whether and how:
(i) financial instruments are considered to have low credit risk, in accordance with item 5.5.10 of CPC 48, including the classes of financial instruments to which they apply; and (ii) the presumption in item 5.5.11 of CPC 48 that there has been a significant increase in credit risk since initial recognition has been rebutted, when financial assets are more than 30 days past due; (b) the entity’s definitions of default, including the reasons for choosing those definitions; (c) how instruments were grouped if expected credit losses were measured collectively; (d) how the entity determined that financial assets are credit-impaired financial assets; (e) the entity’s write-off policy, including indicators that there is no reasonable expectation

of recovery;

SECURITIES AND EXCHANGE COMMISSION (CVM)
7 de Setembro Street, 111/2-5th and 23-34th Floors, Center, Rio de Janeiro/RJ – ZIP: 20050-901 – Brazil - Tel.: (21) 3554-8686 Cincinato Braga Street, 340/2nd, 3rd and 4th Floors, Bela Vista, São Paulo/ SP – ZIP: 01333-010 – Brazil - Tel.: (11) 2146-2000 SCN Q.02 – Bl. A – Corporate Financial Center Building, S.404/4th Floor, Brasília/DF – ZIP: 70712-900 – Brazil - Tel.: (61) 3327-2030/2031 www.gov.br/cvm

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

recovery and information about the policy for financial assets that are derecognized but still subject to collection activities; and (f) how the requirements of item 5.5.12 of CPC 48, for the modification of contractual cash flows of financial assets, were applied, including how the entity:
(i) determines whether the credit risk on the financial asset that was modified, while the loss provision was measured at the amount equivalent to lifetime expected credit losses, improved to the extent that the loss provision is reversed to be measured at the amount equivalent to 12-month expected credit losses, in accordance with item 5.5.5 of CPC 48; and (ii) monitors the extent to which the loss provision on financial assets that meet the criteria of item (i) is subsequently remeasured at the amount equivalent to lifetime expected credit losses in accordance with item 5.5.3 of CPC 48.

35G. The entity must explain the information, assumptions, and estimation techniques used to apply the requirements of Section 5.5 of CPC 48. For this purpose, the entity must disclose:
(a) the basis of the information, assumptions, and estimation techniques used for:
(i) measuring lifetime expected credit losses and 12-month expected credit losses; (ii) determining whether the credit risk of financial instruments has increased significantly since initial recognition; and (iii) determining whether the financial asset is a credit-impaired financial asset; (b) how forward-looking information was incorporated in the determination of expected credit losses, including the use of macroeconomic information; and (c) changes in estimation techniques or significant assumptions occurring during the reporting period and the reasons for such changes.

Qualitative and quantitative information about amounts resulting from expected credit losses

35H. To explain the changes in the loss provision and the reasons for such changes, the entity must provide a reconciliation, by class of financial instruments, from the opening balance to the closing balance of the loss provision, in a table, indicating separately the changes during the period:
(a) of the loss provision measured at the amount equivalent to 12-month expected credit losses; (b) of the loss provision measured at the amount equivalent to lifetime expected credit losses for:
(i) financial instruments for which the credit risk has increased significantly since initial recognition, but which are not credit-impaired financial assets;

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

(ii) financial assets that are credit-impaired at the reporting date (but which were not purchased or originated credit-impaired); and (iii) customer receivables, contractual assets, or lease receivables for which loss provisions are measured in accordance with item 5.5.15 of CPC 48; (c) financial assets purchased or originated credit-impaired. In addition to the reconciliation, the entity must disclose the total amount of undiscounted expected credit losses not recognized at initial recognition on financial assets initially recognized during the reporting period.

35I. To enable users of the financial statements to understand the changes in the loss provision disclosed in accordance with item 35H, the entity must provide an explanation of how significant changes in the gross carrying amount of financial instruments during the period contributed to the changes in the loss provision. The information must be provided separately for financial instruments representing the loss provision, as indicated in items 35H(a) to (c), and must include relevant qualitative and quantitative information. Examples of changes in the gross carrying amount of financial instruments, which contributed to changes in the loss provision, may include:
(a) changes resulting from financial instruments originated or acquired during the reporting period; (b) modification of contractual cash flows on financial assets, which do not result in derecognition of these financial assets in accordance with CPC 48; (c) changes resulting from financial instruments that were derecognized (including those that were derecognized) during the reporting period; and (d) changes that occur if the loss provision is measured at the amount equivalent to 12-month expected credit losses or lifetime expected credit losses.

35J. To enable users of the financial statements to understand the nature and effect of modifications of contractual cash flows on financial assets, which did not result in derecognition, and the effect of these modifications on the measurement of expected credit losses, the entity must disclose:
(a) the amortized cost before modification and the net gain or loss on modification recognized for financial assets for which contractual cash flows were modified during the reporting period, while they had loss provision measured at the amount equivalent to lifetime expected credit losses; and (b) the gross carrying amount at the end of the reporting period of financial assets, which were modified, since initial recognition at the time when the loss provision was measured, to the amount equivalent to lifetime expected credit losses and for which the loss provision changed during the reporting period to the amount equivalent to 12-month expected credit losses.

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

35K. To enable users of the financial statements to understand the effect of collateral and other credit enhancements on the amounts resulting from expected credit losses, the entity must disclose, by class of financial instrument:
(a) the amount that best represents its maximum exposure to credit risk at the end of the reporting period, without taking into account any collateral held or other credit enhancement (for example, netting agreements that do not qualify for offsetting, in accordance with CPC 39); (b) a narrative description of the collateral held and other credit enhancements, including:
(i) description of the nature and quality of the collateral held; (ii) explanation of any significant changes in the quality of this collateral or credit enhancements as a result of deterioration or changes in the entity's collateral policies during the reporting period; and (iii) information on financial instruments for which the entity did not recognize a loss provision due to collateral; (c) quantitative information on the collateral held and other credit enhancements (for example, quantification of the extent to which collateral and other credit enhancements reduce credit risk) for financial assets that are credit-impaired at the reporting date.

35L. The entity must disclose the outstanding contractual amount on financial assets, which were derecognized during the reporting period and are still subject to collection activities.

Exposure to credit risk

35M. To enable users of the financial statements to assess the entity's exposure to credit risk and understand its significant credit risk concentrations, the entity must disclose, by risk rating grades, the gross carrying amount of financial assets and the exposure to credit risk in loan commitments and financial guarantee contracts. These information must be provided, separately, for financial instruments:
(a) for which the loss provision is measured at the amount equivalent to 12-month expected credit losses; (b) for which the loss provision is measured at the amount equivalent to lifetime expected credit losses and that are:
(i) financial instruments for which the credit risk has increased significantly since initial recognition, but which are not credit-impaired financial assets; (ii) financial assets that are credit-impaired at the reporting date (but which were not purchased or originated credit-impaired); and (iii) customer receivables, contractual assets, or lease receivables for which

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

loss provisions must be measured in accordance with item 5.5.15 of CPC 48; (c) that are financial assets purchased or originated credit-impaired.

35N. For customer receivables, contractual assets, and lease receivables to which the entity applies item 5.5.15 of CPC 48, the information provided in accordance with item 35M may be based on a provision matrix (see item B5.5.35 of CPC 48).

For all financial instruments within the scope of this Pronouncement, but for which the impairment requirements of CPC 48 do not apply, the entity must disclose by class of financial instrument:
(a) the amount that best represents its maximum exposure to credit risk at the end of the reporting period without considering any collateral held, or other credit enhancement instruments (for example, contracts that allow netting agreements, but that do not qualify for offsetting, under CPC 39); this disclosure is not required for financial instruments, whose carrying amounts best represent the maximum exposure to credit risk; (b) description of the collateral held as security and other credit enhancement instruments, and their financial effects (for example: quantification of the extent to which collateral and other credit enhancement instruments mitigate credit risk) with respect to the amount that best represents the maximum exposure to credit risk (whether disclosed in accordance with item (a) or represented by the carrying amount of the financial instrument); (c) (eliminated); (d) (eliminated).
(Eliminated).

Collateral and other credit enhancement instruments obtained

When the entity obtains financial or non-financial assets during the period, through the possession of collateral it holds as securities or other instruments aimed at improving the level of credit recovery (for example, guarantees), and such assets meet the recognition criterion provided in other Technical Pronouncements of CPC, the entity must disclose for these assets held at the reporting date:
(a) the nature and carrying amount of the assets; and (b) when the assets are not readily convertible to cash, the policy adopted by the entity for the alienation of such assets or for their use in its operations.

Liquidity risk

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

The entity must disclose:
(a) a maturity analysis for non-derivative financial liabilities (including financial guarantee contracts) that demonstrates the remaining contractual maturities; and (b) a maturity analysis for derivative financial instrument liabilities. The maturity analysis must include the remaining contractual maturities for those derivative financial liabilities for which contractual maturity is essential for understanding the timing of cash flows (see item B11B). (c) a description of how it manages the liquidity risk inherent in (a) and (b).

Market risk

Sensitivity analysis

Unless the entity complies with item 41, it must disclose:
(a) a sensitivity analysis for each type of market risk to which the entity is exposed at the end of the accounting period, showing how profit or loss and equity would be affected by changes in the relevant risk variable that are reasonably possible at that date; (b) the methods and assumptions used in preparing the sensitivity analysis; and (c) changes from the previous period in the methods and assumptions used, and the reason for such changes.
If the entity prepares a sensitivity analysis, such as value-at-risk, that reflects interdependencies between risk variables (for example, interest rates and exchange rates) and uses it to manage financial risks, it may use this sensitivity analysis in place of the analysis specified in item 40. The entity must also disclose:
(a) an explanation of the method used in preparing such sensitivity analysis and the key parameters and assumptions underlying the data provided; and (b) an explanation of the objective of the method used and the limitations that may result in the information not fully reflecting the fair value of the assets and liabilities involved.

Other market risk disclosures

When the sensitivity analyses disclosed in accordance with items 40 or 41 are not representative of the inherent risk of the financial instrument (for example, because the end-of-period exposure does not reflect the exposure during the year), the entity must disclose this fact and the reason why it considers that the sensitivity analyses are not representative.

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

Transfer of financial assets

42A. The disclosure requirements of items 42B to 42H relating to transfers of financial assets supplement the other disclosure requirements of this Pronouncement. The entity must present the disclosures required by items 42B to 42H in a single note to its financial statements. The entity must provide the disclosures required for all transferred financial assets that are not derecognized and for any continuing involvement in transferred asset, existing at the date of the financial statements, regardless of when the respective transfer transaction occurred. For the purposes of applying the disclosure requirements of these items, the entity transfers the entirety or part of a financial asset (the transferred financial asset) if, and only if:
(a) it transfers the contractual rights to receive the cash flows of that financial asset; or (b) it retains the contractual rights to receive the cash flows of that financial asset, but assumes a contractual obligation to pay the cash flows to one or more beneficiaries in an agreement.

42B. The entity must disclose information that enables users of its financial statements:
(a) to understand the relationship between transferred financial assets that are not derecognized in their entirety and the associated liabilities; and (b) to assess the nature and associated risks of the entity's continuing involvement in derecognized financial assets.

42C. For the purposes of applying the disclosure requirements of items 42E to 42H, the entity has continuing involvement in a transferred financial asset if, as part of the transfer, the entity retains any rights or obligations inherent in the transferred financial asset or obtains any new rights or obligations contractual relating to the transferred financial asset. For the purposes of applying the disclosure requirements of items 42E to 42H, the following cases below do not constitute continuing involvement:
(a) normal representations and warranties relating to fraudulent transfer and concepts of reasonableness, good faith, and fair dealing that could invalidate the transfer as a result of legal action; (b) forward contracts, options, and other contracts to reacquire the transferred financial asset for which the contractual price (or exercise price) is the fair value of the transferred financial asset; or (c) agreement by which the entity retains the contractual rights to receive the cash flows of financial asset, but assumes the contractual obligation to pay the cash flows to one or more entities and the conditions of items 3.2.5(a) to (c) of CPC 48 are met.

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

Transferred financial assets that are not derecognized in their entirety

42D. The entity may have transferred financial assets in such a way that part or the entirety of the transferred financial assets do not qualify for derecognition. To achieve the objectives defined in item 42B(a), the entity must disclose, at each financial statement date and for each class of transferred financial assets, that are not derecognized in their entirety:
(a) the nature of the transferred assets;
(b) the nature of the risks and benefits of ownership to which the entity is exposed; (c) a description of the nature of the relationship between the transferred assets and the associated liabilities, including restrictions resulting from the transfer on the use of the transferred assets by the entity presenting the financial statements; (d) when the counterparty of the associated liabilities has recourse only to the transferred assets, the schedule establishing the fair value of the transferred assets, the fair value of the associated liabilities, and the net position (the difference between the fair value of the transferred assets and the associated liabilities); (e) when the entity continues to recognize the entirety of the transferred assets, the carrying amounts of the assets and the associated liabilities; (f) when the entity continues to recognize the assets to the extent of its continuing involvement (see items 3.2.6(c)(ii) and 3.2.16 of CPC 48), the total carrying amount of the original assets before the transfer, the carrying amount of the assets that the entity continues to recognize, and the carrying amount of the associated liabilities.

Transferred financial assets that are derecognized in their entirety

42E. To achieve the objectives defined in item 42B(b), when the entity derecognizes transferred financial assets in their entirety (see items 3.2.6(a) and (c)(i) of CPC 48), but has continuing involvement in them, the entity must disclose, at minimum, for each type of continuing involvement at each date:
(a) the carrying amount of assets and liabilities that are recognized in the entity's balance sheet and that represent the entity's continuing involvement in the derecognized financial assets, and the line items in which the carrying amounts of these assets and liabilities are recognized; (b) the fair value of assets and liabilities that represent the entity's continuing involvement in the derecognized financial assets; (c) the amount that best represents the entity's maximum exposure to loss from its continuing involvement in the derecognized financial assets, and information that shows how the maximum exposure to loss is determined; (d) the undiscounted cash outflows that would be or could be required to reacquire derecognized financial assets (for example, the exercise price in an options contract) or other

values payable to the assignee with respect to the transferred assets. If the cash outflow is variable, then the disclosed value must be based on the conditions existing in each reporting period; (e) an analysis of the maturity of undiscounted cash outflows that would or could be required to repurchase the derecognized financial assets or other amounts payable to the assignee with respect to the transferred assets, demonstrating the remaining contractual maturities of the entity's continuing involvement; (f) qualitative information that explains and supports the quantitative disclosures required in (a) to (e).

42F. The entity may aggregate the information required by item 42E with respect to a specific asset if the entity has more than one type of continuing involvement in that derecognized financial asset and report it under one type of continuing involvement.

42G. Additionally, the entity must disclose for each type of continuing involvement:
(a) the gain or loss recognized on the date of transfer of the assets; (b) revenues and expenses recognized, both at the reporting date and cumulatively, from the entity's continuing involvement in the derecognized financial assets (for example, changes in the fair value of derivative instruments); (c) if the total value of the transfer activity resources (which qualify for derecognition) at a reporting date is not distributed uniformly throughout the entire period of the financial statements (for example, if a substantial part of the total value of the transfer activity occurs on the closing days of the period of the financial statements):
(i) when the main transfer activity occurs within this period of the financial statements (for example, the last five days before the end of the period); (ii) the value (for example, the respective gains or losses) recognized from the transfer activity in this part of the period of the financial statements; and (iii) the total value of the earnings from the transfer activity in this part of the period of the financial statements. The entity must provide this information for each period for which the statement of comprehensive income is presented.

Supplementary Information

42H. The entity must disclose any additional information it considers necessary to achieve the disclosure objectives of item 42B.

Initial Application of CPC 48

42I. In the reporting period that includes the date of initial application of CPC 48, the entity must disclose the following information for each class of financial assets and financial liabilities at the date of initial application:
(a) the original measurement category and the carrying amount determined in accordance with CPC 38 or in accordance with the previous version of CPC 48 (if the approach chosen by the entity to apply CPC 48 involves more than one date of initial application for different requirements); (b) the new measurement category and the carrying amount determined in accordance with CPC 48; (c) the value of any financial assets and financial liabilities in the balance sheet that were previously designated as measured at fair value through profit or loss, but are no longer designated as such, distinguishing between those that CPC 48 requires the entity to reclassify and those that the entity chooses to reclassify at the date of initial application. In accordance with item 7.2.2 of CPC 48, depending on the approach chosen by the entity to apply CPC 48, the transition may involve more than one date of initial application. Therefore, this item may result in disclosure on more than one date of initial application. The entity must present these quantitative disclosures in a table, unless another format is more appropriate.

42J. In the reporting period that includes the date of initial application of CPC 48, the entity must disclose qualitative information to allow users to understand:
(a) how the entity applied the classification requirements of CPC 48 to these financial assets, whose classification changed as a result of the application of CPC 48; (b) the reasons for any designation or new designation of financial assets or financial liabilities as measured at fair value through profit or loss, at the date of initial application. In accordance with item 7.2.2 of CPC 48, depending on the approach chosen by the entity to apply CPC 48, the transition may involve more than one date of initial application. Therefore, this item may result in disclosure on more than one date of initial application.

42K. In the reporting period in which the entity applies, for the first time, the measurement and classification requirements for financial assets of CPC 48 (that is, when the entity performs the transition from CPC 38 to CPC 48 for financial assets), it must present the disclosures provided for in items 42L to 42O of this pronouncement, as required by item 7.2.15 of CPC 48.

42L. When required by item 42K, the entity must disclose the changes in the classifications of financial assets and financial liabilities at the date of initial application of CPC 48, showing separately:
(a) the changes in carrying amounts based on their measurement categories in accordance with CPC 38 (that is, not resulting from the change in the measurement attribute in the transition to CPC 48); and (b) the changes in carrying amounts resulting from the change in the measurement attribute in the transition to CPC 48.

The disclosures described in this item do not need to be made after the annual reporting period in which the entity initially applies the measurement and classification requirements for financial assets in CPC 48.

42M. When required by item 42K, the entity must disclose the following for financial assets and financial liabilities that have been reclassified so that they are measured at amortized cost and, in the case of financial assets, that have been reclassified from fair value through profit or loss so that they are measured at fair value through other comprehensive income, as a result of the transition to CPC 48:
(a) the fair value of the financial assets or financial liabilities at the end of the reporting period; and (b) the gain or loss in fair value that would have been recognized in profit or loss or other comprehensive income during the reporting period if the financial assets or financial liabilities had not been reclassified. The disclosures described in this item do not need to be made after the annual reporting period in which the entity initially applies the measurement and classification requirements for financial assets in CPC 48.

42N. When required by item 42K, the entity must disclose the following for financial assets and financial liabilities that have been reclassified from the fair value through profit or loss category as a result of the transition to CPC 48:
(a) the effective interest rate determined at the date of initial application; and (b) the interest revenue or expense recognized.
If the entity treats the fair value of a financial asset or financial liability as the new gross carrying amount at the date of initial application (see item 7.2.11 of CPC 48), the disclosures of this item must be made for each reporting period until derecognition. On the other hand, the disclosures described in this item do not need to be made after the annual reporting period in which the entity initially applies the measurement and classification requirements for financial assets in CPC 48.

42O. When the entity presents the disclosures provided for in items 42K to 42N, these disclosures and the disclosures described in item 25 of this pronouncement, must allow the reconciliation between:
(a) the measurement categories presented in accordance with CPC 38 and CPC 48; and (b) the class of financial instrument; at the date of initial application.

42P. At the date of initial application of Section 5.5 of CPC 48, the entity is required to disclose information that allows the reconciliation of the provisions for impairment of closing (from the balance sheet) in accordance with CPC 38 and the provisions in accordance with CPC 25 for the provisions for opening (from the balance sheet) losses, determined in accordance with CPC 48. For financial assets, this disclosure must be provided by the respective measurement categories of financial assets in accordance with CPC 38 and CPC 48, and must show, separately, the effect of changes in the measurement category in the provision for losses at that date.

42Q. In the reporting period that includes the date of initial application of CPC 48, the entity is not required to disclose the values of line items that would have been reported in accordance with the measurement and classification requirements (which includes the requirements related to the measurement of amortized cost of financial assets and impairment in Sections 5.4 and 5.5 of CPC 48) of:
(a) CPC 48 for prior periods; and
(b) CPC 38 for the current period.

42R. In accordance with item 7.2.4 of CPC 48, if it is impracticable (as defined in CPC 23), at the date of initial application of CPC 48, for the entity to evaluate the time value of money element, modified in accordance with items B4.1.9B to B4.1.9D of CPC 48 based on the facts and circumstances that existed at the initial recognition of the financial asset, the entity must evaluate the contractual cash flow characteristics of that financial asset based on the facts and circumstances that existed at the initial recognition of the financial asset, without considering the requirements related to the modification of the time value of money element, described in items B4.1.9B to B4.1.9D of CPC 48. The entity must disclose the carrying amount, at the reporting date, of the financial assets whose contractual cash flow characteristics were evaluated based on the facts and circumstances that existed at the initial recognition of the financial asset, without considering the requirements related to the modification of the time value of money element, described in items B4.1.9B to B4.1.9D of CPC 48, until these financial assets are derecognized.

42S. In accordance with item 7.2.5 of CPC 48, if it is impracticable (as defined in CPC 23), at the date of initial application, for the entity to evaluate whether the fair value of the prepayment element was insignificant in accordance with item B4.1.12(c) of CPC 48 based on the facts and circumstances that existed at the initial recognition of the financial asset, the entity must evaluate the contractual cash flow characteristics of that financial asset based on the facts and circumstances that existed at the initial recognition of the financial asset, without considering the exception for prepayment elements in item B4.1.12 of CPC 48. The entity must disclose the carrying amount at the reporting date of the financial assets whose contractual cash flow characteristics were evaluated based on the facts and circumstances that existed at the initial recognition of the financial asset without considering the exception for prepayment elements, described in item B4.1.12 of CPC 48, until these financial assets are derecognized.

Revocation of another pronouncement

This pronouncement replaces CPC 40 – Financial Instruments: Disclosure, approved on October 2, 2009.

44DE. Reference Rate Reform, which amended CPC 48, CPC 38 and CPC 40, added items 24H and 44DF. The entity must apply these amendments when applying the amendments to CPC 48 or CPC 38.

44DF. In the reporting period in which the entity applies, for the first time, the reference interest rate reform, the entity is not required to present the quantitative information required by item 28(f) of CPC 23 – Accounting Policies, Changes in Accounting Estimates and Errors.

44GG. CPC 17 Revision, approved by CPC on January 8, 2021, amended CPC 48, CPC 38, CPC 40, CPC 11 and CPC 06, added items 24I to 24J and 44HH. The entity must apply these amendments when applying the amendments of CPC 48, CPC 38, CPC 11 and CPC 06.

44HH. In the period of the statements in which the entity applies the CPC 17 Revision for the first time, the entity is not required to disclose the information that would otherwise be required by item 28 (f) of CPC 23.

APPENDIX A – DEFINITION OF TERMS
This appendix is an integral part of the pronouncement.
Risk classification grade is the credit risk classification based on the risk of default that may occur in the financial instrument.
Credit risk is the risk that one of the parties to a financial instrument contract causes financial loss to the other party by failing to fulfill its obligation to this other party.
Currency risk is the risk that the fair value or future cash flows of a financial instrument fluctuate due to changes in foreign exchange rates.
Interest rate risk is the risk that the fair value or future cash flows of a financial instrument fluctuate due to changes in market interest rates.
Liquidity risk is the risk that the entity faces difficulties in meeting obligations related to financial liabilities that are settled by the delivery of cash or another financial asset.
Loans payable are financial liabilities that are not short-term trade payables, under normal credit terms.
Market risk is the risk that the fair value or future cash flows of a financial instrument fluctuate due to changes in market prices. Market risk comprises three types of risk: currency risk, interest rate risk and other price risks.
Other price risks are the risks that the fair value or future cash flows of a financial instrument fluctuate as a result of changes in market prices (which are not those resulting from interest rate risk or exchange risks), whether these changes are due to factors specific to the financial instrument, or factors that affect all similar financial instruments traded in the market. The following terms are defined in item 11 of CPC 39 – Financial Instruments: Presentation, in item 9 of CPC 38 – Financial Instruments: Recognition and Measurement, in Appendix A of CPC 48 or in Appendix A of CPC 46, and used in this pronouncement with the same meaning:

amortized cost of financial asset or financial liability
derecognition
derivative
effective interest method
equity instrument
fair value
financial asset
financial instrument
financial liability

financial liability measured at fair value through profit or loss
financial guarantee contract
forecast transaction
hedging instrument
regular purchase or sale
contractual asset
credit-impaired financial asset
purchased or originated credit-impaired financial asset
reclassification date
dividends
gains or losses on impairment
held for trading
expected credit losses
loss provision
gross carrying amount of financial asset
past due

APPENDIX B – APPLICATION GUIDE
This appendix is an integral part of the pronouncement.
Classes of financial instruments and disclosure levels (item 6)

B1. Item 6 requires the entity to group financial instruments into classes that are appropriate to the nature of the information disclosed and that take into account the characteristics of these financial instruments. The classes described in item 6 are determined by the entity and are therefore different from the categories of financial instruments specified in CPC 48 (which determine how financial instruments must be measured and where changes in fair value must be recognized).

B2. When determining classes of financial instruments, the entity must, at a minimum:
(a) distinguish instruments measured at amortized cost from those measured at fair value; (b) treat as a separate class, or classes, those financial instruments outside the scope of this Pronouncement.

B3. The entity decides, depending on the circumstances, the amount of detail it provides to satisfy the requirements of this Pronouncement, how much emphasis is given to different aspects of the requirements and how this aggregates information to display the overall picture without combining information with different characteristics. It is necessary to find a balance between overloading the financial statements with excessive details, which may not help users of these statements, and hiding important information as a result of too much aggregation. For example, the entity must not hide important information by including it among a large amount of insignificant details. Similarly, the entity must not disclose information that is so aggregated that it hides important differences between individual operations or associated risks.

B4. (Eliminated).

Other disclosures – accounting policies (item 21)

B5. Item 21 requires the disclosure of the measurement basis used in the preparation of the financial statements and other accounting policies used that are relevant to the understanding of the financial statements. For financial instruments, this disclosure includes:
(a) for financial liabilities designated as measured at fair value through profit or loss:
(i) the nature of the financial liabilities that the entity designated as measured at fair value through profit or loss; (ii) the criteria used to determine these financial liabilities as measured at fair value through profit or loss; and

SECURITIES AND EXCHANGES COMMISSION OF BRAZIL (CVM) Rua Sete de Setembro, 111/2-5th and 23-34th Floors, Center, Rio de Janeiro/RJ – CEP: 20050-901 – Brazil - Tel.: (21) 3554-8686 Rua Cincinato Braga, 340/2nd, 3rd and 4th Floors, Bela Vista, São Paulo/SP – CEP: 01333-010 – Brazil - Tel.: (11) 2146-2000 SCN Q.02 – Bl. A – Ed. Corporate Financial Center, S.404/4th Floor, Brasília/DF – CEP: 70712-900 – Brazil - Tel.: (61) 3327-2030/2031 www.gov.br/cvm

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

(iii) how the entity satisfied the conditions of item 4.2.2 of CPC 48 for such designation; (aa) for financial assets designated as measured at fair value through profit or loss:
(i) the nature of the financial assets that the entity designated as measured at fair value through profit or loss; and (ii) how the entity met the criteria of item 4.1.5 of CPC 48 for such designation; (b) (eliminated); (c) whether regular purchases and sales of financial assets are accounted for at the trade date or the settlement date (see item 3.1.2 of CPC 48); (d) (eliminated); (e) how net losses and gains in the various categories of financial instruments are determined (see item 20(a)), for example, whether net gains or losses measured at fair value through profit or loss include interest or dividends; (f) (eliminated); (g) (eliminated).

Item 122 of CPC 26 – Presentation of Financial Statements also requires entities to disclose, in the note explaining significant accounting policies or other notes, the judgments, excluding those involving estimates, that management made in the process of applying the entity's accounting policies and that have the most significant impact on the amounts recognized in the financial statements.

Nature and extent of risks arising from financial instruments (items 31 to 42)

B6. The disclosures required by items 31 to 42 must be made in the financial statements or incorporated by cross-reference to other statements, such as the management report or risk report, which are available to users of the financial statements on the same terms and on the same date as the financial statements. Without this information, the financial statements are incomplete.

Quantitative disclosure (item 34)

B7. Item 34(a) requires the disclosure of summarized quantitative information regarding the entity's exposure based on information provided internally to key management personnel of the entity. When the entity uses various methods to manage its risk exposure, it must disclose information that provides the most relevant and reliable information. Technical Pronouncement CPC 23 – Accounting Policies, Changes in Estimates and Errors discusses the terms relevance and reliability.

B8. Item 34(c) requires disclosure regarding concentrations of risk. Concentrations of risk arise from financial instruments that have similar characteristics and are affected similarly by variations in economic conditions. The identification of risk concentrations requires judgment taking into account the circumstances of the entity. Disclosures about risk concentrations must include:
(a) description of how management determines these concentrations; (b) description of the common characteristics that identify each concentration (for example, counterparty, geographic area, currency, or market); (c) the amount of risk exposure associated with all financial instruments that have this same characteristic.

Credit risk management practices (items 35F and 35G)

B8A. Item 35F(b) requires the disclosure of information about how the entity defined default for different financial instruments and the reasons for choosing these definitions. According to item 5.5.9 of CPC 48, the determination of whether expected credit losses should be recognized is based on the increase in default risk, which occurs since initial recognition. Information about the entity's default definitions that will assist users of the financial statements in understanding how the entity applied the expected credit loss requirements in CPC 48 may include:
(a) the qualitative and quantitative factors considered when defining default; (b) whether different definitions were applied to different types of financial instruments; and (c) assumptions about the "recovery" rate (that is, the number of financial assets that return to a reasonable performance condition), after default has occurred on the financial asset.

B8B. To assist users of the financial statements in assessing the entity's modification and restructuring policies, item 35F(f)(i) requires the disclosure of information about how the entity monitors the extent to which the provision for losses on financial assets, previously disclosed in accordance with item 35F(f)(i), is subsequently measured at an amount equivalent to expected lifetime credit losses in accordance with item 5.5.3 of CPC 48. Quantitative information, which assists users in understanding the subsequent increase in credit risk of modified financial assets, may include information about modified financial assets that meet the criteria described in item 35F(f)(i), for which the loss provision reverted to be measured at an amount equivalent to expected lifetime credit losses (that is, the rate of deterioration).

B8C. Item 35G(a) requires the disclosure of information about the information base, assumptions, and estimation techniques used to apply the impairment requirements of CPC 48. The entity's assumptions and information, used to measure expected credit losses or to determine the extent of increases in credit risk since initial recognition, may include information obtained from internal historical information or rating reports and assumptions about the expected life of financial instruments and the timing of the sale of collateral.

Alteration in the provision for losses (item 35H)

B8D. According to item 35H, the entity is required to explain the reasons for changes in the provision for losses during the period. In addition to the reconciliation of the opening balance to the closing balance of the provision for losses, it may be necessary to provide a narrative explanation of the changes. This narrative explanation may include an analysis of the reasons for changes in the provision for losses during the period, including:
(a) the composition of the portfolio;
(b) the volume of financial instruments purchased or originated; and (c) the severity of expected credit losses.

B8E. For loan commitments and financial guarantee contracts, the provision for losses must be recognized. The entity must disclose information about changes in the provision for losses for financial assets separately from those for loan commitments and financial guarantee contracts. However, if the financial instrument includes both a loan (that is, a financial asset) and an undrawn commitment component (that is, a loan commitment) and the entity cannot separately identify the expected credit losses on the loan commitment component from those on the financial asset component, the expected credit losses on the loan commitment must be recognized together with the provision for losses for the financial asset. To the extent that the combined expected credit losses exceed the gross carrying amount of the financial asset, the expected credit losses must be recognized as a provision.

Collateral (item 35K)

B8F. Item 35K requires the disclosure of information that allows users of the financial statements to understand the effect of collateral and other credit enhancements on the amount of expected credit losses. The entity is not required to disclose information about the fair value of collateral and other credit enhancements, nor is it required to quantify the exact value of collateral that was included in the calculation of expected credit losses (that is, loss due to default).

B8G. The narrative description of collateral and its effect on expected credit loss values may include information about:
(a) the main types of collateral held and other credit enhancements (examples of the latter being guarantees, credit derivatives, and netting contracts that do not qualify for offset in accordance with CPC 39); (b) the volume of collateral held and other credit enhancements and their significance in terms of the provision for losses; (c) the policies and processes for evaluating and managing collateral and other credit enhancements; (d) the main types of counterparties for guarantees and other credit enhancements and their creditworthiness; and (e) information about concentrations of risk within collateral and other credit enhancements.

Exposure to credit risk (items 35M and 35N)

B8H. Item 35M requires the disclosure of information about the entity's exposure to credit risk and significant concentrations of credit risk at the reporting date. There is a concentration of credit risk when a number of counterparties are located in the same geographic region or are involved in similar activities and have similar economic characteristics that would cause their ability to fulfill contractual obligations to be affected similarly by changes in economic conditions or other conditions. The entity must provide information that allows users of the financial statements to understand whether there are groups or portfolios of financial instruments with specific characteristics that may affect a large portion of this group of financial instruments, such as concentration of specific risks. This includes, for example, concentration by type of issuer, by sector, geographic, or LTV (loan-to-value) groupings.

B8I. The number of risk classification grades used to disclose information in accordance with item 35M must be consistent with the number that the entity reports to key management personnel for credit risk management purposes. If past-due information is the only borrower-specific information available and the entity uses it to assess whether credit risk has increased significantly since initial recognition in accordance with item 5.5.11 of CPC 48, the entity must provide the analysis by previous past-due status for these financial assets.

B8J. When the entity has measured expected credit losses collectively, it may not be able to allocate the gross carrying amount of individual financial assets or the exposure to credit risk on loan commitments and financial guarantee contracts to the risk classification grades for which expected lifetime credit losses are recognized. In this case, the entity must apply the requirement of item 35M to those financial instruments that can be directly allocated to the risk classification grade and separately disclose the gross carrying amount of financial instruments for which expected lifetime credit losses were measured collectively.

Maximum risk exposure (item 36(a))

B9. Items 35K(a) and 36(a) require disclosure of the amount that best represents the entity's maximum exposure to credit risk. For a financial asset, it is typically the gross carrying amount, less:
(a) any amounts offset in accordance with CPC 39; and (b) any impairment losses in accordance with CPC 48.

B10. Activities that generate exposure to credit risk and the corresponding maximum exposure to credit risk include, but are not limited to:
(a) lending to customers and deposits in other entities. In these cases, the maximum exposure to credit risk is the amount of the carrying value of the financial instruments considered; (b) participation in derivative financial instruments such as foreign currency contracts, interest rate swaps, and credit derivatives. When the resulting asset is measured at fair value, the maximum amount of exposure to credit risk at the end of the accounting period will be equal to the carrying value; (c) financial guarantees granted. In this case, the maximum exposure to credit risk is the maximum amount that the entity might have to pay if the guarantee were exercised, which may be significantly greater than the amount recognized as a liability; (d) execution of an irrevocable loan commitment during the commitment period or irrevocable only in response to a material adverse change. If the issuer cannot settle the loan commitment in cash or another financial instrument by difference, the maximum amount of credit risk exposure is the total amount of the commitment. This is because it is uncertain whether the unpaid amount can be paid in the future. This amount may be significantly greater than the amount recognized as a liability.

Quantitative liquidity risk disclosures (items 34(a) and 39(a) and (b))

B10A. According to item 34(a), the entity discloses summarized quantitative data regarding its exposure to liquidity risk based on information provided internally to key management personnel. The entity must explain how this data is determined. If the cash outflow (or other financial asset) included in this data can:
(a) occur significantly earlier than indicated in the data; or (b) be of an amount significantly different from that indicated in the data (for example, for a derivative included in the data on a net settlement basis but for which the counterparty may require gross settlement). The entity must disclose this fact and provide quantitative information that enables users of the financial statements to assess the extent of this risk unless this information is included in the contractual maturity analysis required by item 39(a) or (b).

B11. When preparing the maturity analysis required by item 39(a) and (b), the entity must use its judgment to determine an appropriate number of time intervals. For example, the entity may determine that the following time intervals are appropriate:
(a) no more than one month;
(b) more than one month and less than three months; (c) more than three months and no more than one year; and (d) more than one year and less than five years.

B11A. In complying with item 39(a) and (b), the entity must not separate an embedded derivative from a hybrid financial instrument (combined). For this instrument, the entity must apply item 39(a).

B11B. Item 39(b) requires the entity to disclose quantitative maturity analysis for passive financial instruments that demonstrates the remaining contractual maturities if the contractual maturities are essential for an understanding of the timing of cash flows. For example, this may be the case for:
(a) an interest rate swap with a remaining maturity of five years in a cash flow hedge of an asset or liability indexed to a variable rate; (b) all loan commitments.

B11C. Items 39(a) and (b) require the entity to disclose maturity analysis for financial liabilities that shows the remaining contractual maturity for some financial liabilities. In this disclosure:
(a) when the counterparty has the choice of when the amount is paid, the liability is allocated to the nearest period in which the entity may be obliged to pay. For example, financial liabilities that the entity may be obliged to repay at any time (demand deposits, for example) are included in the nearest time period; (b) when the entity has a commitment to make funds available in installments, each installment is allocated to the nearest commitment period. For example, an unused loan commitment must be included in the nearest time period in which it may become available for use; (c) for issued financial guarantees, the maximum amount of the guarantee is allocated to the nearest period in which the guarantee may be requested.

B11D. The contractual amounts disclosed in the maturity analysis required by item 39(a) and (b) are the undiscounted contractual cash flows, for example:
(a) gross lease liabilities (before deducting finance charges); (b) prices specified in forward contracts to purchase financial assets in cash; (c) net amounts of swaps that pay floating rates and receive fixed rates for which cash flows are exchanged; (d) contractual amounts that will be exchanged in a derivative financial contract (currency swap, for example) for which gross cash flows are exchanged; and (e) gross loan commitments.

These undiscounted cash flows differ from the amount included in the balance sheet because the amount presented in this statement is based on discounted cash flows. When the amount to be paid is not fixed, the amount disclosed is determined with reference to the conditions existing at the end of the fiscal year. For example, when the amount to be paid varies in relation to changes in an index, the amount disclosed may be based on the level of this index at the end of the period.

B11E. Item 39(c) requires the entity to describe how it manages the liquidity risk inherent in the items disclosed in the quantitative information required in item 39(a) and (b). The entity must disclose the maturity analysis of the financial assets it holds to manage liquidity risk (financial assets that are immediately negotiable or that are expected to generate cash inflows to meet cash outflows related to financial liabilities), if this information is necessary to enable users of the financial statements to assess the nature and extent of liquidity risk.

B11F. Other factors that the entity may consider when providing the disclosure required in item 39(c) include, but are not limited to, whether the entity:
(a) has agreed credit lines (for example, arrangements for issuing commercial papers) or other credit lines (for example, pre-arranged credit lines) that can be used to meet its liquidity needs; (b) has deposits with the Central Bank to meet its liquidity needs; (c) has a diversified base of funding sources; (d) has significant concentrations of liquidity risk in its assets or its funding sources; (e) has internal control processes and contingency plans to manage its liquidity risk; (f) has instruments that include early repayment terms to manage liquidity risk (for example, in the event of a downgrade of the entity's credit rating); (g) has instruments that may require the posting of collateral (for example, margin calls on derivative contracts); (h) has instruments that allow the entity to choose whether to settle its liabilities through the delivery of cash (or another financial asset) or by the delivery of its own shares; or (i) has instruments that are subject to master netting agreements.

B12-B16. (Eliminated).

Market risk – sensitivity analysis (items 40 and 41)

B17. Item 40(a) requires sensitivity analysis for each type of market risk to which the entity is exposed. According to item B3, the entity decides how to aggregate information to disclose the overall position without combining information with different characteristics regarding risk exposures arising from different economic environments. For example:

SECURITIES AND EXCHANGE COMMISSION OF BRAZIL (CVM) Seven of September Street, 111/2-5th and 23-34th Floors, Center, Rio de Janeiro/RJ – ZIP: 20050-901 – Brazil - Tel.: (21) 3554-8686 Cincinato Braga Street, 340/2nd, 3rd and 4th Floors, Bela Vista, São Paulo/ SP – ZIP: 01333-010 – Brazil - Tel.: (11) 2146-2000 SCN Q.02 – Bl. A – Ed. Corporate Financial Center, S.404/4th Floor, Brasília/DF – ZIP: 70712-900 – Brazil - Tel.: (61) 3327-2030/2031 www.gov.br/cvm

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

(a) the entity that trades financial instruments may disclose this information separately for instruments held and not held for trading; (b) the entity must not aggregate its market risk exposure from hyperinflationary areas with its exposure to market risks from low-inflation areas. If the entity has exposure to only one type of market risk in a single economic environment, it must not present separate information.

B18. Item 40(a) requires that the sensitivity analysis show the effect on profit or loss and equity of possible reasonable changes in relevant risk variables (market interest rates, exchange rates, share prices, or commodity prices). For this purpose:
(a) entities are not required to determine what the profit or loss for the period would be if the relevant variables were different. Instead, the entity discloses the effect on profit or loss and equity at the end of the reporting period assuming that a possible reasonable change in the relevant risk factor has occurred at the end of the period and has been applied to the risk exposures at the end of the period. For example, if the entity has a post-fixed liability at the end of the period, it must disclose the effect on profit or loss (financial expense, for example) for the current year if interest rates had varied by reasonable and possible amounts; (b) the entity is not required to present the effect on profit or loss and equity for each variation within the reasonable range of the relevant risk variable. Disclosure of the effect of variations at the limit of the considered range of the relevant risk variable would be sufficient.

B19. In determining the relevant possible change in the relevant risk variable, the entity must consider:
(a) the economic environment in which it operates. A relevant possible change must not include remote scenarios or "worst case" or "stress test" scenarios. Similarly, if the change in the variable rate is stable, the entity does not need to change the reasonable range of variation in the risk variable. For example, assume that the interest rate is 5% and that the entity determined that a variation of +/- 50 basis points is reasonably possible. It must disclose the effect on profit or loss and equity if interest rates changed to 4.5% or 5.5%. In the next period, interest rates increased to 5.5%. The entity continues to believe that rates can fluctuate by +/- 50 basis points (the rate of change remains stable). The entity must disclose the effect on profit or loss and equity as if the rates were 5% and 6%. The entity does not need to revise its estimate that the reasonable change that may occur in the rate is +/- 50 basis points, unless there is evidence that interest rates have become more volatile; (b) the time period over which the entity is making its assessment. The sensitivity analysis must show the effects of changes that are considered reasonably possible in the period until the entity will present its next disclosures, which is normally the next annual report.

B20. Item 41 allows the entity to use sensitivity analysis that reflects the correlation between risk variables as a value-at-risk methodology if it uses this analysis to manage its exposure to financial risks. This applies even if this methodology measures only the potential for losses and not for gains. The entity may meet item 41(a) by disclosing the type of value-at-risk model used (if the model is based on Monte Carlo simulations, for example) and explaining how the model works and the fundamental assumptions (the holding period and the confidence level). The entity may also disclose the historical observation period and the weights applied to observations within that period, an explanation of how options are treated in the calculations and how volatilities and correlations (or alternatively simulations with Monte Carlo probability distributions) are used.

B21. The entity must provide sensitivity analysis for its entire business, but may provide different sensitivity analysis for different classes of financial instruments.

Interest Rate Risk
B22. Interest rate risks arise in fixed-income instruments recognized on the balance sheet (for example, acquired or issued debt instruments) and in some financial instruments not recognized on the balance sheet (loan commitments, for example).

Foreign Exchange Risk
B23. Foreign exchange risk (or foreign currency risk) arises in financial instruments that are denominated in a foreign currency, a currency different from the functional currency of the entity in which they are measured. For the purposes of this Pronouncement, foreign exchange risk does not arise from financial instruments that are not monetary items or from financial instruments denominated in the functional currency of the entity. B24. Sensitivity analysis must be disclosed for each currency in which the entity has significant exposure.

Other Price Risks
B25. Other price risks arise in financial instruments due to changes in commodity prices or share prices, for example. To meet item 40, the entity must disclose the effect of a reduction in a specific market index, commodity price, or other risk variable. For example, if the entity provides residual guarantees that are financial instruments, it discloses the increase or reduction in the value of the assets to which the guarantee applies. B26. Two examples of financial instruments that give rise to price risk are (a) holding shares in another entity and (b) investment in a trust fund that in turn holds investments in other shares. Other examples include forward contracts and options to buy or sell specified quantities of shares and swaps that are indexed to share prices. The fair value of these instruments is affected by changes in the market prices of the underlying shares.

B27. According to item 40(a), the sensitivity of profit or loss (which arises, for example, from instruments measured at fair value through profit or loss) is disclosed separately from the sensitivity of other comprehensive income (which arises, for example, from investments in equity instruments whose changes in fair value are presented in other comprehensive income). B28. Financial instruments that the entity classifies as equity must not be remeasured. Neither profit or loss nor equity is affected by the price risk of these instruments. Thus, no sensitivity analysis is required.

Derecognition (items 42C to 42H)
Continuous Involvement (item 42C)
B29. The assessment of continuous involvement in a financial asset transferred for the purpose of disclosure provided for in items 42E to 42H is performed at the level of the entity presenting the financial statements [reporting entity]. For example, if a subsidiary transfers to an unrelated third party a financial asset in which the subsidiary's parent has continuous involvement in that transferred asset, the subsidiary does not include the parent's continuous involvement in the assessment of whether it has continuous involvement in the transferred asset in its individual financial statements (i.e., when the subsidiary is the reporting entity). However, the parent must include its continuous involvement (or that of another entity in the group) in a financial asset transferred by its subsidiary in determining whether it has continuous involvement in the transferred asset in its consolidated financial statements (i.e., when the reporting entity is the group). B30. The entity does not have continuous involvement in a transferred financial asset if, as part of the transfer, it does not retain any of the rights or contractual obligations inherent in the transferred financial asset nor acquires any new rights or contractual obligations relating to the transferred financial asset. The entity does not have continuous involvement in a transferred financial asset if it does not have participation in the future performance of the transferred financial asset nor responsibility under any circumstances to, in the future, make payments relating to the transferred financial asset. The term "payment," in this context, does not include cash flows from the transferred financial asset that the entity receives and is obligated to remit to the assignee. B30A. When the entity transfers a financial asset, the entity may retain the right to service that financial asset for a fee that is included, for example, in a service contract. The entity must evaluate the service contract in accordance with the guidance of items 42C and B30 to decide whether the entity has continuous involvement as a result of the service contract for the purposes of disclosure requirements. For example, a service provider has continuous involvement in the transferred financial asset for the purposes of disclosure requirements if the service fee depends on the amount or timeliness of cash flows received from the transferred financial asset. Similarly, the service provider has continuous involvement for the purposes of disclosure requirements if the fixed fee is not paid in full because of the non-performance of the transferred financial asset. In these examples, the service provider has an interest in the future performance of the transferred financial asset. This assessment is independent of whether the fee to be received adequately compensates the entity for the performance of the service. B31. Continuous involvement in a transferred financial asset may result from contractual provisions in the
transfer contract or in a separate contract entered into with the assignee or a third party regarding the transfer.

Transferred financial assets that are not derecognized in their entirety (item 42D) B32. Item 42D requires disclosures when part or all of the transferred financial assets do not qualify for derecognition. These disclosures are required for each balance sheet date on which the entity continues to recognize the transferred financial assets, regardless of when the transfers occurred.

Types of continuous involvement (items 42E to 42H) B33. Items 42E to 42H require qualitative and quantitative disclosures for each type of continuous involvement in derecognized financial assets. The entity must aggregate its continuous involvement in types that are representative of the entity's exposure to risks. For example, the entity may aggregate its continuous involvement by type of financial instrument (for example, guarantees or call options) or by type of transfer (for example, factoring, securitizations, and securities lending).

Maturity analysis for undiscounted cash outflows to repurchase transferred assets (item 42E(e)) B34. Item 42E(e) requires the entity to disclose a maturity analysis of undiscounted cash outflows to repurchase derecognized financial assets or other payables to the assignee in relation to derecognized financial assets, demonstrating the remaining contractual maturities of the entity's continuous involvement. This analysis must distinguish cash flows that must be paid (for example, forward contracts), cash flows that the entity may be obligated to pay (for example, put options), and cash flows that the entity may choose to pay (for example, call options). B35. The entity must use its judgment to determine the appropriate number of time periods when preparing the maturity analysis required by item 42E(e). For example, the entity may determine that the following time-to-maturity periods are appropriate:
(a) not more than one month;
(b) more than one month and not more than three months; (c) more than three months and not more than six months; (d) more than six months and not more than one year; (e) more than one year and not more than three years; (f) more than three years and not more than five years; and (g) more than five years. B36. If there is a range of possible maturities, cash flows must be included based on the earliest date on which the entity may be obligated or permitted to pay.

Qualitative information (item 42E(f))
B37. The qualitative information required by item 42E(f) includes a description of the financial assets and the nature and purpose of the continuous involvement retained after transferring these assets. The qualitative information also includes a description of the risks to which the entity is exposed, including:
(a) a description of how the entity manages the risk inherent in its continuous involvement in derecognized financial assets; (b) whether the entity is obligated to assume losses vis-à-vis third parties, and the classification and values of losses assumed by parties whose interests are classified below the entity's interest in the asset (i.e., its continuous involvement in the asset); (c) a description of any triggers associated with obligations to provide financial support or to repurchase a transferred financial asset.

Gain or loss on derecognition (item 42G(a))
B38. Item 42G(a) requires the entity to disclose the gain or loss on derecognition of financial assets in which the entity has continuous involvement. The entity must disclose whether the gain or loss on derecognition occurred because the fair values of the components of the previously recognized asset (i.e., the interest in the derecognized asset and the interest retained by the entity) were different from the fair value of the asset previously recognized as a whole. In this situation, the entity must also disclose whether the fair value measurements included significant data that were not based on observable market data, as described in item 27A.

Supplementary information (item 42H)
B39. The disclosures required in items 42D to 42G may not be sufficient to achieve the disclosure objectives provided for in item 42B. In this case, the entity must disclose any additional information that is necessary to achieve the disclosure objectives. The entity must decide, in light of its circumstances, the amount of additional information that is necessary to be provided to satisfy the information needs of users and the emphasis to be placed on different aspects of the additional information. It is necessary to achieve a balance between overloading the financial statements with excessive details that may not assist users of financial statements and hiding information, as a result of excessive aggregation.

Offsetting financial assets and financial liabilities (items 13A to 13F) Scope (item 13A) B40. The disclosures described in items 13B to 13E are required for all recognized financial instruments that are offset in accordance with item 42 of CPC 39. In addition, financial instruments are within the scope of the disclosure requirements, described in items 13B to 13E, if they are subject to an enforceable master netting arrangement or similar agreement covering transactions and similar financial instruments, regardless of whether the financial instruments are offset in accordance with item 42 of CPC 39. B41. The similar agreements referred to in items 13A and B40 include derivative contracts, master repurchase agreements, master securities lending agreements, and any rights related to financial collateral. The similar transactions and financial instruments referred to in item B40 include derivatives, sale and repurchase agreements, reverse repurchase agreements, securities borrowing, and securities lending contracts. Examples of financial instruments that are not within the scope of item 13A are loans and customer deposits at the same institution (unless they are offset on the balance sheet) and financial instruments that are subject only to a collateral contract.

Disclosure of quantitative information for recognized financial assets and liabilities within the scope of item 13A (item 13C) B42. Financial instruments disclosed in accordance with item 13C may be subject to different measurement requirements (for example, a payable related to a repurchase contract may be measured at amortized cost, while the derivative must be measured at fair value). The entity must include instruments at their recognized values and must describe any measurement differences resulting in the respective disclosures.

Disclosure of gross amounts of recognized financial assets and liabilities within the scope of item 13A (item 13C(a)) B43. The values required by item 13C(a) refer to recognized financial instruments that are offset in accordance with item 42 of CPC 39. The values required by item 13C(a) also refer to recognized financial instruments, which are subject to an enforceable master netting arrangement or similar agreement, regardless of whether they meet the offsetting criteria. However, the disclosures required by item 13C(a) are not related to any amounts recognized as a result of collateral contracts that do not meet the offsetting criteria in item 42 of CPC 39. Instead, these values must be disclosed in accordance with item 13C(d).

SECURITIES AND EXCHANGE COMMISSION OF BRAZIL (CVM) Rua Sete de Setembro, 111/2-5th and 23-34th Floors, Center, Rio de Janeiro/RJ – ZIP Code: 20050-901 – Brazil - Tel.: (21) 3554-8686 Rua Cincinato Braga, 340/2nd, 3rd and 4th Floors, Bela Vista, São Paulo/SP – ZIP Code: 01333-010 – Brazil - Tel.: (11) 2146-2000 SCN Q.02 – Bl. A – Ed. Corporate Financial Center, S.404/4th Floor, Brasília/DF – ZIP Code: 70712-900 – Brazil - Tel.: (61) 3327-2030/2031 www.gov.br/cvm

CVM RESOLUTION NO. 121, OF JUNE 3, 2022

Disclosure of values that are offset in accordance with the criteria in item 42 of CPC 39 (item 13C(b))

B44. Item 13C(b) requires the entity to disclose the values offset in accordance with item 42 of CPC 39 when determining the net values presented in the balance sheet. The values, both of recognized financial assets and recognized financial liabilities, that are subject to offsetting in accordance with the same agreement, must be disclosed in both the financial asset disclosures and the financial liability disclosures. However, the disclosed values (for example, in a table) are limited to the values that are subject to offsetting. For example, the entity may have a recognized derivative asset and a recognized derivative liability that meet the offsetting criteria described in item 42 of CPC 39. If the gross value of the derivative asset is greater than the gross value of the derivative liability, the financial asset disclosure table must include the total value of the derivative asset (in accordance with item 13C(a)) and the total value of the derivative liability (in accordance with item 13C(b)). However, while the financial liability disclosure table must include the total value of the derivative liability (in accordance with item 13C(a)), it should only include the value of the derivative asset (in accordance with item 13C(b)) that is equal to the value of the derivative liability.

Disclosure of net values presented in the balance sheet (item 13C(c))

B45. If the entity has instruments that meet the scope of these disclosures (as specified in item 13A), but that do not meet the offsetting criteria described in item 42 of CPC 39, the values that must be disclosed by item 13C(c) are equivalent to the values that must be disclosed by item 13C(a).

B46. The values that must be disclosed by item 13C(c) must be reconciled with the values of individual line items presented in the balance sheet. For example, if the entity determines that aggregating or disaggregating values of individual financial statement line items provides more relevant information, it must reconcile the aggregated or disaggregated values disclosed in item 13C(c) to the values of individual line items presented in the balance sheet.

Disclosure of values subject to an enforceable master netting arrangement or similar agreement that are not otherwise included in item 13C(b) (item 13C(d))

B47. Item 13C(d) requires entities to disclose values subject to an enforceable master netting arrangement or similar agreement, that are not otherwise included in item 13C(b). Item 13C(d)(i) refers to values related to recognized financial instruments, that do not meet some or all of the offsetting criteria described in item 42 of CPC 39 (for example, current rights of offsetting, that do not meet the criterion described in item 42(b) of CPC 39, or conditional rights of offsetting, that are enforceable and exercisable only in the event of default, or only in the case of insolvency or bankruptcy of any of the counterparties).

B48. Item 13C(d)(ii) refers to values related to financial collateral, including cash collateral, both received and provided. The entity must disclose the fair value of these financial instruments that were provided or received as collateral. The values disclosed in accordance with item 13C(d)(ii) must relate to the actual collateral received or provided, and not to any amounts payable or receivable resulting from, recognized to return or receive back this collateral.

Limits on the values disclosed in item 13C(d) (item 13D)

B49. When disclosing values in accordance with item 13C(d), the entity must take into account the effects of over-collateralisation by financial instrument. To do this, the entity must, first, deduct the values disclosed in accordance with item 13C(d)(i) from the value disclosed in accordance with item 13C(c). The entity then must limit the values disclosed in accordance with item 13C(d)(ii) to the remaining value in item 13C(c) for the respective financial instrument. However, if rights to collateral can be exercised on financial instruments, these rights may be included in the disclosure provided in accordance with item 13D.

Description of offsetting rights subject to enforceable master netting arrangements and similar agreements (item 13E)

B50. The entity must describe the types of offsetting rights and similar agreements disclosed in accordance with item 13C(d), including the nature of these rights. For example, the entity must disclose its conditional rights. For instruments subject to offsetting rights that are not conditioned on a future event, but that do not meet the remaining criteria described in item 42 of CPC 39, the entity must describe the reasons why the criteria are not met. For any financial collateral received or provided, the entity must describe the terms of the collateral contract (for example, when the collateral is restricted).

Disclosure by type of financial instrument or by counterparty

B51. The quantitative disclosures required by items 13C(a) to (e) may be grouped by type of transaction or financial instrument (for example, derivatives, repurchase and reverse repurchase contracts or securities lending and securities borrowing contracts).

B52. Alternatively, the entity may group the quantitative disclosures required by items 13C(a) to (c) by type of financial instrument and the quantitative disclosures required by items 13C(c) to (e) by counterparty. If the entity provides the information required by counterparty, the entity is not obliged to identify the counterparties by name. However, the designation of counterparties (counterparty A, counterparty B, counterparty C, etc.) must remain consistent year over year for the years presented in order to maintain comparability. Qualitative disclosures should be considered so that more information can be given about the types of counterparties. When the disclosure of values in items 13C(c) to (e) is provided by counterparty, the values that are individually significant in terms of total counterparty values must be disclosed separately and the remaining values of the counterparty, individually insignificant, must be aggregated into a line item.

Other

B53. The specific disclosures required by items 13C to 13E are minimum requirements. To achieve the objective of item 13B, the entity may need to supplement them with additional disclosures (qualitative), depending on the terms of the enforceable master netting arrangements and related contracts, including the nature of the offsetting rights and their effect or potential effects on the entity's financial position.

Lineage: No known changes